OS: Windows XP SP 2

I have write a small web service, got a dynamic dns but when I try to connect to the service from the Internet I get "Authentication needed" dialog.
I set IIS (v5.1) to the minimum security level. But I still get this dialog.
What should I do ?
 (I use Windows and AVG firewalls).

Thanks

You need to open up NTFS security for the particular user account. This is a server issue, not a client one.